#include <batesmodel.hpp>

Inheritance diagram for BatesDetJumpModel:

Collaboration diagram for BatesDetJumpModel:

Public Member Functions
	BatesDetJumpModel (const ext::shared_ptr< BatesProcess > &process, Real kappaLambda=1.0, Real thetaLambda=0.1)

Real	kappaLambda () const

Real	thetaLambda () const

Public Member Functions inherited from BatesModel
	BatesModel (const ext::shared_ptr< BatesProcess > &process)

Real	nu () const

Real	delta () const

Real	lambda () const

Public Member Functions inherited from HestonModel
	HestonModel (const ext::shared_ptr< HestonProcess > &process)

Real	theta () const

Real	kappa () const

Real	sigma () const

Real	rho () const

Real	v0 () const

ext::shared_ptr< HestonProcess >	process () const

Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)

void	update () override

virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...

Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)

const ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

virtual void	setParams (const Array &params)

Integer	functionEvaluation () const

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from BatesModel
void	generateArguments () override

Protected Member Functions inherited from HestonModel
void	generateArguments () override

virtual void	generateArguments ()

Protected Attributes inherited from HestonModel
ext::shared_ptr< HestonProcess >	process_

Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_

ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None

Array	problemValues_

Integer	functionEvaluation_

Detailed Description

Definition at line 56 of file batesmodel.hpp.

Constructor & Destructor Documentation

◆ BatesDetJumpModel()

BatesDetJumpModel	(	const ext::shared_ptr< BatesProcess > &	process,
		Real	kappaLambda = `1.0`,
		Real	thetaLambda = `0.1`
	)

explicit

Definition at line 46 of file batesmodel.cpp.

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Member Function Documentation

◆ kappaLambda()

Real kappaLambda ( ) const

Definition at line 62 of file batesmodel.hpp.

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◆ thetaLambda()

Real thetaLambda ( ) const

Definition at line 63 of file batesmodel.hpp.